A confirmation number is not a PNR. The PNR (Passenger Name Record) is unique and used for interline and airline internal items, while the confirmation number is the number that references your transaction in the WN system.Unless something has changed in the past year, this statement is not true. We've flown Southwest to Disney for the past 3 years each time using points which require separate bookings (and thus separate confirmation numbers) per person including the kids. In each instance of booking the kids separately, the system was smart enough to ask me if there was an adult to link the minor child to at which point I was able to input my confirmation number to link them. No UM fees and no issues whatsoever. We're flying US Air this year, so I can't speak to current Southwest policy, but I can't imagine that anything has changed.
I was unaware that WN had a work-around for minors (probably just a database entry field), but it still remains that they don't support true linked PNRs. Linked PNRs are used so that in the event of an automatic rebook, all of the linked passengers are treated as a single booking and are done so by the computer system, even to an interline carrier. The lack of PNR linking is why WN rebooks either an entire flight, or rebooks individually manually with an agent - there's no automated method of splitting a flight. It also enables status perks to be conferred to people on the same itinerary but with a different reservation on airlines with status programs.